The lagged XOR engine adaptor implements a simple yet robust technique for generating independent random number streams. It has the following properties: Fast. The overhead has been tested to be approx 10% on top of Mersenne Twister for lag up to 150, and looks constant -doesn’t increase with the lag size-. Portable. It’s compatible with [...]
Category Archives: Programming
Lagged XOR Engine Adaptor in C++ for Generating Parallel Random Number Streams
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Generating Random Numbers in C++ with Boost.Random
The boost libraries (boost.org) are high regarded C++ libraries, and a lot of those libraries have ended up being accepted in the C++ standard.
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Generating Random Numbers in C++ with the native TR1 implementation
The new upcoming C++11 standard offers great support for random number generation in C++. If you have Visual Studio 2008 with the Visual Studio Feature Pack -or- with SP1 installed, or GCC 4.2 or higher, then the code below should work.
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Generating Correlated Random Numbers
This article describes common methods that are used in generating correlated random numbers.
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A Simple and Extremely Fast C++ Template for Matrices and Tensors
This article describes a very simple and efficient solution for handling matrices and tensors in C++. The idea is to store the matrix (or tensor) in a standard vector by translating the multidimensional index to a one dimensional index.
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Weighted Single-pass Mean and Covariance
One of the algorithms used in the Probability Engine is a weighted covariance calculation. Instead of using a simple two pass algorithm, we chose for a single pass algorithm that improves both speed and accuracy.
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